On the occasion of the completion of the research project "Stability and Numerics for BSDEs under Uncertainty and Applications (START)", hosted by the School of Applied Mathematical and Physical Sciences of National Technical University of Athens (NTUA), it is organized the autumn school on (Second Order) Backward Stochastic Differential Equations

(2)BSDEs: Stability and Applications

04-06 November 2024 (Part A)

25-27 November 2024 (Part B)

with the financial support of the Hellenic Foundation for Research and Innovation (S.A.5, Proposal No: 235 under the “2nd Call for H.F.R.I. Research Projects to Support Postdoctoral Researchers”). 

Backward Stochastic Differential Equations (BSDEs) and their extension to the second-order case (2BSDEs) have been proven to be ubiquitous in applications, e.g.,  in probabilistic representation of solutions for non-linear partial integro-differential equations, as well as in the associated probabilistic numerical methods, in stochastic control, in stochastic differential games, in theoretical economics and in mathematical finance. The aim of this school is dual: on the one hand, it will be provided a broad overview of the theory of (2)BSDEs and their associated applications, with a focus on the connection of (2)BSDEs with integro-partial differential equations, on contract theory and on the Schrödinger problem viewed from the probabilistic perspective; on the other hand, there will be presented the results obtained under the framework of the START Project, which -in most cases- can be regarded as the most general among those of the respective literature. 

In its first part, the school will feature talks by leading experts and mini courses by collaborators within the framework of the START Project and the Principal Investigator of the project. Α great effort will be made to make the lectures accessible for senior undergraduate, MSc and PhD students with prior knowledge in stochastic calculus. The second part will be devoted to the mathematical technicalities of the results. More precisely, the proofs of the results will be described with sufficient mathematical details, while the necessary introductory notions and mathematical tools will be presented, so that the lectures are self-contained. 

Speakers

• Dylan Possamaï (ETH Zürich) 

• Antonis Papapantoleon (N.T.U.A. and T.U. Delft)

• Camilo Hernández (University of Southern California)

• Marco Rodrigues (ETH Zürich)

• Stefanos Theodorakopoulos (National Technical University of Athens)

• Alexandros Saplaouras (Principal Investigator, National Technical University of Athens)

Registration

Everyone who wishes to participate to the autumn school is kindly requested to register using the respective form: Part A or Part B. 

The courses and the talks in Part A will be presented in English. There is no registration fee, however the number of the on-site participants is limited. Alternatively, those who register on time, but cannot attend in person, will be provided with a WebEx link.  

The lectures in Part B will be help in Greek; no alternative of WebEx link will be provided. 

Location

The school will take place at the Zografou Campus of the NTUA in Athens, Greece. More precisely,

• on Monday 04.11 and on Tuesday 05.11 it will take place at the "Distance learning room" of the Library (the link redirects to Google maps) and 

• on Wednesday 06.11 it will take place at Amphitheater 3, School of Applied Mathematical and Physical Sciences (the link redirects to Google maps).

• on Monday 25.11 until Wednesday 27.11 the lectures will be held at Room 1, GF of Building E. (the link redirects to Google maps)